I buy all of my stuff at Haggin Oaks Golf Superstore in Sacramento, California. I live in Sac, and I feel lucky to have Haggin Oaks so close because it was rated one of the best stores in the nation by golf digest. It actually may have been rated no. 1 last year, but I can't remember. I was in shock when I saw it on there, mainly because nothing good ever comes out of Sac. I particularly like it for two reason. One, because it is gigantic and has pretty much every type of golf thing you can think of. Secondly, you can try out any club you want for free. It is great for buying new equipment, because you can make sure you like it before you buy it. I hate going into golf stores to try something out and having the displeasure of seeing the guy who works there rap the club up in tape. Then you get to proceed to hit your big ball of tape into a golf simulator that is not at all acurate. At Haggin you get to try it the way it is supposed to be tried, and on a real driving range. Unfortunately you have to try them on matts which I hate, but I havent found a place that lets you hit their clubs of grass yet. Other than that though it is a great store.
My favourite and most used golf stores are probably ebay.ca and Canadian Tire. Ebay is great because you can find good clubs for a cheap price. The only downside is you have to take the risk of buying a worn out club. I also like Canadian Tire because I know I'm buying a new, good quality club. Also, the prices aren't to shabby either.
That is right, eBay is good if you want to buy cheap products and you are willing to risk for a thing that you haven't actually seen yet. But if you plan to really play golf and do it well, I guess it is better to have the brand new items.